OFICrossImpact

This repository contains a partial implementation of the paper Cross-impact of order flow imbalance in equity markets by Cont et. al.

Running the code

1. Install requirements as listed in requirements.txt
2. In data/raw, place csv.zstd files in MBP-10 format under directories titled with the respective stock IDs (e.g. TSLA, AAPL etc.)
3. For each desired stock, run python scripts/order_flow.py --stock_id YOUR_STOCK --output_path data/processed to generate minute-aggregated order flow imbalance values as per the paper.
4. Generate cross-impact analysis plots by running notebooks/cross_impact_analysis.ipynb.

Data used

The plots visible here were generated using NASDAQ TotalItch data from 10-07-2024 to 10-11-2024, retrieved from DataBento.